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Stochastic Calculus
"... The following notes aim to provide a very informal introduction to Stochastic Calculus, and especially to the Itô integral and some of its applications. They owe a great deal to Dan Crisan’s Stochastic Calculus and Applications lectures of 1998; and also much to various books especially those of L. ..."
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The following notes aim to provide a very informal introduction to Stochastic Calculus, and especially to the Itô integral and some of its applications. They owe a great deal to Dan Crisan’s Stochastic Calculus and Applications lectures of 1998; and also much to various books especially those of L
Stochastic calculus with respect to Gaussian processes
"... In this paper we develop a stochastic calculus with respect to a Gaussian process of the form Bt = ∫ t 0 K(t, s)dWs, whereW is a Wiener process and K(t, s) is a square integrable kernel, using the techniques of the stochastic calculus of variations. We deduce changeofvariable formulas for the inde ..."
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Cited by 151 (12 self)
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In this paper we develop a stochastic calculus with respect to a Gaussian process of the form Bt = ∫ t 0 K(t, s)dWs, whereW is a Wiener process and K(t, s) is a square integrable kernel, using the techniques of the stochastic calculus of variations. We deduce changeofvariable formulas
Stochastic calculus with anticipative integrands
 PROBAB. THEORY RELATED FIELDS 78
, 1988
"... We study the stochastic integral defined by Skorohod in [24] of a possibly anticipating integrand, as a function of its upper limit, and establish an extended It6 formula. We also introduce an extension of Stratonovich's integral, and establish the associated chain rule. In all the results, the ..."
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Cited by 104 (11 self)
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We study the stochastic integral defined by Skorohod in [24] of a possibly anticipating integrand, as a function of its upper limit, and establish an extended It6 formula. We also introduce an extension of Stratonovich's integral, and establish the associated chain rule. In all the results
Stochastic Calculus of Variations for Martingales
"... The framework of the stochastic calculus of variations on the standard Wiener and Poisson space is extended to certain martingales, consistently with other approaches. The method relies on changes of times for the gradient operators. We study the transfer of the structures of stochastic analysis in ..."
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Cited by 1 (0 self)
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The framework of the stochastic calculus of variations on the standard Wiener and Poisson space is extended to certain martingales, consistently with other approaches. The method relies on changes of times for the gradient operators. We study the transfer of the structures of stochastic analysis
Stochastic Calculus  An introduction
"... inancial derivatives, where only the simplest type of European options will be considered here. Any comments about misprints or suggestions for improvement will be mostly appreciated. Jan Nygaard Nielsen Contents 1 Stochastic Calculus 1 1.1 Dynamical systems . . . . . . . . . . . . . . . . . . . . ..."
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Cited by 1 (1 self)
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inancial derivatives, where only the simplest type of European options will be considered here. Any comments about misprints or suggestions for improvement will be mostly appreciated. Jan Nygaard Nielsen Contents 1 Stochastic Calculus 1 1.1 Dynamical systems
A Review of Stochastic Calculus for Finance
, 2008
"... This is a review of the twovolume text Stochastic Calculus for Finance by ..."
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This is a review of the twovolume text Stochastic Calculus for Finance by
Stochastic calculus in physics
 J. Stat. Phys
, 1987
"... The relationship of the ItoStratonovich stochastic calculus to studies of weakly colored noise is explained. A functional calculus approach is used to obtain an effective FokkerPlanck equation for the weakly colored noise regime. In a smooth limit, this representation produces the Stratonovich ve ..."
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The relationship of the ItoStratonovich stochastic calculus to studies of weakly colored noise is explained. A functional calculus approach is used to obtain an effective FokkerPlanck equation for the weakly colored noise regime. In a smooth limit, this representation produces the Stratonovich
Results 1  10
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